A spokesperson for the BBC confirmed the news, saying, "Naomi Watts was interviewed today by Simon Mayo for Radio 5 Live's Kermode and Mayo programme. Naomi decided to end the interview earlier than the allotted time. The interview will be broadcast, later this month, as planned."
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The show's DJ and presenter Simon Mayo has said the Australian star didn't seem to like his questions about the upcoming biopic.
"A first for me and @wittertainment as Naomi Watts walked out of an interview! She seemed a tad uncomfortable with the questions. Shame," he wrote on Twitter.
Quizzed by fellow BBC Radio 5 Live presenter Shelagh Fogarty why Naomi decided to leave, Simon replied, "The honest answer is I have no idea. You know my hectoring style is always a problem."
Journalist Allison Pearson then asked whether he had suggested the film was not in the best possible taste, to which he said, "No, not at all. Didn't express any opinion. So still baffled."
Simon went on to say he expects the interview will air on his show 13 September. "Ron Howard this week (September 6)," he said. "He stayed for the full interview."
Naomi has previously admitted she felt anxious filling the shoes of such an iconic and beloved figure.
"I might go into hiding," she told InStyle UK in a recent interview. "I might have to leave the country."
She also revealed that she had turned down the role twice, but realised that the film would be made with or without her and "didn't like the idea of anyone else playing that role."
The Hollywood beauty, who was born in Kent and lived in the UK until she was 14, said she was primarily concerned about how Diana's son, Prince William and Prince Harry, would feel about the film.
"The biggest reason that made me pause was how the princes were going to feel about this," she told the Sunday Times.
"There was actually quite an eerie moment in London when I did see Prince William in a restaurant, and I got very nervous, because if I caught his eye I didn't want to interpret a look and think he had a negative feeling about this idea. So I made sure not to look."
"I do care deeply about how the princes feel, of course," she said. "I am a mum of two boys (Sasha, six, and Samuel, four, with actor husband Liev Schreiber). But it was a story that was bound to be told at some point, and it's possibly fresher than people expected."